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| Main Author: | |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2505.17620 |
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| _version_ | 1866912389534842880 |
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| author | Fowlie, Andrew |
| author_facet | Fowlie, Andrew |
| contents | Sampling from multi-modal distributions and estimating marginal likelihoods, also known as evidences and normalizing constants, are well-known challenges in statistical computation. They can be overcome by nested sampling, which evolves a set of live points through a sequence of distributions upwards in likelihood. We introduce PolyStan -- a nested sampling inference engine for Stan. PolyStan provides a Stan interface to the PolyChord nested sampling algorithm using bridgestan. PolyStan introduces a new user-base to nested sampling algorithms and provides a black-box method for sampling from challenging distributions and computing marginal likelihoods. We demonstrate the robustness of nested sampling on several degenerate and multi-modal problems, comparing it to bridge sampling and Hamiltonian Monte Carlo. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2505_17620 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | PolyStan: PolyChord nested sampling and Bayesian evidences for Stan models Fowlie, Andrew Computation Data Analysis, Statistics and Probability Sampling from multi-modal distributions and estimating marginal likelihoods, also known as evidences and normalizing constants, are well-known challenges in statistical computation. They can be overcome by nested sampling, which evolves a set of live points through a sequence of distributions upwards in likelihood. We introduce PolyStan -- a nested sampling inference engine for Stan. PolyStan provides a Stan interface to the PolyChord nested sampling algorithm using bridgestan. PolyStan introduces a new user-base to nested sampling algorithms and provides a black-box method for sampling from challenging distributions and computing marginal likelihoods. We demonstrate the robustness of nested sampling on several degenerate and multi-modal problems, comparing it to bridge sampling and Hamiltonian Monte Carlo. |
| title | PolyStan: PolyChord nested sampling and Bayesian evidences for Stan models |
| topic | Computation Data Analysis, Statistics and Probability |
| url | https://arxiv.org/abs/2505.17620 |